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Corrigendum to: Common asset pricing factors in volatilies and returns in futures markets

โœ Scribed by Akhtar R Siddique


Book ID
117528593
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
116 KB
Volume
27
Category
Article
ISSN
0378-4266

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โœ Gongmeng Chen; Michael Firth; Yu Xin ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 333 KB ๐Ÿ‘ 1 views

This study investigates the response of returns and volume to different information shocks in China's commodity futures markets using bivariate moving average representation (BMAR) and bivariate vector autoregression (BVAR) methodologies. Consistent with the conclusions from stock market studies tha